Transmission Constrained Supply Function Equilibrium Analysis of Electric Power Markets

近10年来，电力工业结构调整已成为全国性和世界性的潮流。随着多年经验的积累，无论是成功的还是失败的，市场都以经济理论、经验知识和直觉为基础，以共同的主体发展起来。此外，随着联邦能源管理委员会（FERC）为北美电力市场实施“标准市场设计”（SMD），电力市场设计正趋向于更大的一致性。然而，具体细节仍因市场而异。造成这些差异的原因在于，目前还没有广泛接受的方法和工具来进行电力市场分析，并提供令人信服的定量结果。电力市场的理论属性仍然相对不清楚，特别是在存在重要的工程问题，如发电和输电容量约束，运营问题，如价格上限和非递减供应功能，以及子市场之间的相互作用，如日前市场，实时市场和双边合同市场之间的相互作用。这些问题对经济结果有重大影响，但在经典经济学中没有很好地涵盖，市场参与者和研究人员也没有清楚地理解。本计画针对上述困难，探讨典型电力市场的特性，并发展出一套新颖的方法来进行电力市场的定量分析。我们将考虑美国主要电源市场的共同设计元素，将其称为与FERC SMD兼容的“典型市场”。通过这样做，我们可以专注于电力市场的最重要的共同特征，并开发直接适用于或适用于美国大多数电力市场的结果。 在本计画中，我们将采用供给函数均衡（SFE）方法作为我们的研究平台。与古诺模型相比，SFE涉及所有现有电力市场建模方法中最接近电力市场现实的建模。我们所有的研究工作都将嵌入到SFE模型中，该模型具有不对称的市场参与者和扩展的时间范围。我们将使用SFE平台来研究输电和发电容量限制、实时市场互动、双边合同和价格上限的影响。据PI所知，以前的工作没有解决这些问题一起在一个复杂的SFE设置与不对称的市场参与者和延长的时间范围。该项目将涉及理论工作，开发工作和应用工作。从理论上分析了电力市场约束的影响，为电力市场的运行提供了有价值的见解。 具体而言，我们希望提出并实现一个新的想法，一个“通用的约束处理框架”的SFE，这是能够处理各种约束，并研究市场互动问题与套利建模。这部分工作在工程科学和经济学方面都有很大的智力价值，并将对这两方面都有所贡献。本项目的另一个目标是设计一个更复杂的算法和软件的电力市场分析。这部分的工作将作为一个良好的起点，消除模糊的电力市场的特点，促进一个理想的电力市场标准的设计，并将帮助市场参与者，研究人员和监管机构获得新的见解。 最后，我们希望将理论结果和软件应用于德克萨斯州电力可靠性理事会（ERCOT）市场。该应用程序不仅是为了测试我们所提出的方法和软件的有效性，但也展示了如何将我们的研究成果应用于一个典型的市场，以实际的大规模市场的特点。建议的SFE分析是有价值的ERCOT正在进行的市场重新设计过程。到2006年，目前的ERCOT市场将转变为节点日前市场。这项研究的见解将是在ERCOT新的市场设计的发展至关重要，其结果将包括当前ERCOT市场的分析和未来ERCOT市场的预测。这项工作不仅对ERCOT市场具有重要价值，而且对其他市场的设计和分析也具有广泛的影响。这项研究将涉及主要研究者和研究生之间的重要互动，并为这些学生的职业生涯做好准备，这些职业生涯将整合来自多个学科的想法，包括电力工程，经济学和金融学。 该项目涉及理论和数值分析以及软件开发，预计将在电气工程和监管经济学文献方面产生若干出版物。结果将在IEEE电力工程学会会议等会议上报告。此外，PI打算将有关SFE的一些基本思想和结果纳入电力系统工程课程，并使学生了解电力行业的最新理论发展。

Restructuring has been both a nationwide and a worldwide trend in the electric power industry in the last 10 years. With years of experience accumulated, both successful and frustrating, markets have developed with common main bodies based on economic theory, empirical knowledge, and intuition. Moreover, power market designs are tending towards greater uniformity with the Federal Energy Regulatory Commission's (FERC) carrying out a "Standard Market Design" (SMD) for electricity markets in North America. However, details still differ from market to market. The reason for these differences lies in the fact that there is no existing widely accepted method and tool to perform power market analysis and to provide convincing quantitative results. Theoretical properties of power markets remain relatively unclear, particularly in the presence of important engineering issues such as generation and transmission capacity constraints, operation issues such as price caps and non-decreasing supply functions, and sub-market interactions such as the interactions between the day-ahead market, real-time market, and bilateral contracts market. These issues have significant effects on the economic outcome, but are not well covered in classic economics, and not clearly understood by market participants and researchers. This project proposes to investigate the characteristics of typical power markets, focusing on the difficulties mentioned above, and develop an original method to perform quantitative power market analysis. We will consider the common design elements of the major power markets in the US, referring to them as a "typical market" compatible with FERC's SMD. By doing this, we can concentrate on the most important common features of power markets and develop results that are directly applicable or applicable with minor modifications to most power markets in United States. In this project, we will adopt the supply function equilibrium (SFE) approach as our research platform. SFE involves the closest modeling to power market reality among all the existing power market modeling methods, as compared for example to a Cournot model. All our research work will be embedded in the SFE model setting with asymmetric market participants and an extended time horizon. We will use the SFE platform to investigate the effects of transmission and generation capacity constraints, real-time market interaction, bilateral contracts, and price caps. To the best of the PI's knowledge, no previous work has addressed these topics together in a sophisticated SFE setting with asymmetric market participants and an extended time horizon. This project will involve theoretical work, development work, and application work. Theoretically, we hope to investigate the effects of the power market constraints, and provide valuable insights for the operation of power market. Specifically, we hope to bring forward and fulfill the novel idea of a "universal constraints handling framework" for SFE, which is capable of handling all kinds of constraints, and investigate market interaction issues with modeling of arbitrage. This part of the work is of great intellectual merit in both engineering science and economics, and will contribute to both of them. Another goal of this project is to devise a more sophisticated algorithm and software for power market analysis. This part of the work will serve as a good starting point for dispelling the ambiguities about the characteristics of power markets, facilitating a desirable power market standard design, and will assist market participants, researchers and regulators to obtain new insights. Lastly, we hope to apply the theoretical results and software to the Electric Reliability Council of Texas (ERCOT) market. This application is not only to test the effectiveness of our proposed method and software, but also to demonstrate how to apply our research results about a typical market to an actual large-scale market with its peculiarities. The proposed SFE analysis is valuable for ERCOT's ongoing market redesign process. By 2006, the current ERCOT market will change to a nodal day-ahead market. The insights from this study will be critical for the development of the new market design in ERCOT, and the results will consist of both analysis of the current ERCOT market and forecasts of the future ERCOT market. This work is not only of great value to the ERCOT market, but also of broad impact in the design and analysis of other markets. This research will involve significant interaction between the Principal Investigator and graduate students and prepare these students for careers that integrate ideas from several disciplines, including electric power engineering, economics, and finance. The project involves a mix of theoretical and numerical analysis and software development, and is expected to result in several publications, both in the electrical engineering and the regulatory economics literature. The results will be reported at conferences such as IEEE Power Engineering Society meetings. In addition, the PI intends to incorporate some of the basic ideas and results about the SFE into power system engineering courses, and bring the students to the latest theoretical developments in the electric power industry.